Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3091
Annualized Std Dev 0.4310
Annualized Sharpe (Rf=0%) -0.7171

Row

Daily Return Statistics

Close
Observations 3505.0000
NAs 1.0000
Minimum -0.1913
Quartile 1 -0.0174
Median -0.0015
Arithmetic Mean -0.0011
Geometric Mean -0.0015
Quartile 3 0.0144
Maximum 0.1890
SE Mean 0.0005
LCL Mean (0.95) -0.0020
UCL Mean (0.95) -0.0002
Variance 0.0007
Stdev 0.0272
Skewness 0.3017
Kurtosis 3.1695

Downside Risk

Close
Semi Deviation 0.0187
Gain Deviation 0.0190
Loss Deviation 0.0169
Downside Deviation (MAR=210%) 0.0243
Downside Deviation (Rf=0%) 0.0193
Downside Deviation (0%) 0.0193
Maximum Drawdown 0.9958
Historical VaR (95%) -0.0426
Historical ES (95%) -0.0577
Modified VaR (95%) -0.0416
Modified ES (95%) -0.0547
From Trough To Depth Length To Trough Recovery
2008-07-02 2020-12-28 NA -0.9958 3202 3145 NA
2007-05-18 2007-08-31 2008-04-28 -0.3672 238 74 164
2008-04-29 2008-05-01 2008-05-07 -0.0630 7 3 4
2008-05-12 2008-05-19 2008-05-21 -0.0582 8 6 2
2008-05-29 2008-05-29 2008-06-03 -0.0477 4 1 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA -1.6 -0.7 3.1 3 -4 2.8 2.7 -1.9 2 5.3
2008 -4.1 -0.9 -4.2 -3.2 2.7 0.8 2.8 -0.8 3.8 4 1.4 -4.4 -2.6
2009 -4 2.6 -2.6 4.9 9.3 -1.4 -1.5 -4.2 -6.1 -1.7 -1.2 -2.6 -9.1
2010 5.3 -2 5.5 -1.9 -3.1 4.8 1.8 -1.7 -1.6 -5.2 1.7 1.7 4.9
2011 -1.5 -4 -1.5 2.3 -0.3 -1.4 0.8 -0.4 -2.5 -3.6 1.9 -1.8 -11.6
2012 -3.7 -5 -1.8 3 -3.6 2.2 -1.8 1.5 4.6 -0.5 -2 -2.9 -10.1
2013 -1.2 -0.6 0.4 -0.5 -1 0.2 -1.6 -0.2 1.4 -1.8 0.4 -4.1 -8.2
2014 -0.3 2.9 -2.4 -1.7 -0.4 -0.5 -0.9 0.7 -2.5 1.1 -3.8 -6 -13.1
2015 -1.5 0.7 -1.1 1.9 0.2 -1.6 -2.2 0.1 -3.8 3.3 0 3.3 -1
2016 -7.3 2.7 -0.8 3.7 4.5 2.4 -3.2 -2.5 -1.8 -4.3 5.1 -1.7 -3.9
2017 0.5 1.2 0 -1.3 -0.7 -0.6 0.2 1.2 -0.2 -0.2 0.8 1.2 2.1
2018 -2.9 0.9 1.1 1.2 0.6 -1 -0.7 1.3 3.5 -1.1 0.6 -9.8 -6.7
2019 -3.4 1.4 1.3 1.3 -4 -2.2 -3 -0.3 -1.4 2.6 -7.1 -0.2 -14.5
2020 0.4 -2.7 -4.3 -3 -2.9 -3.6 -1.5 -4.5 -1.6 1.5 -1.6 4.7 -17.9
2021 9.7 0.5 2.2 NA NA NA NA NA NA NA NA NA 12.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-04-18 1625. SPY    147.  1.20e-3  0.0226    0.0504   0.0297    0.145    0.304    0.301 GLD    68.4  0.0056    0.0194
2 2007-04-19 1618. SPY    147. -3.00e-4  0.0178    0.0444   0.0329    0.126    0.293    0.303 GLD    67.5 -0.0124    0.0081
3 2007-04-20 1585. SPY    149.  9.40e-3  0.0227    0.0372   0.0406    0.135    0.306    0.321 GLD    68.7  0.0173    0.0127
4 2007-04-23 1632  SPY    148. -3.80e-3  0.00930   0.0341   0.0399    0.129    0.323    0.312 GLD    68.3 -0.0064   -0.002 
5 2007-04-24 1635. SPY    148.  4.00e-4  0.007     0.033    0.0373    0.129    0.315    0.334 GLD    67.7 -0.0078   -0.004 
6 2007-04-25 1650. SPY    149.  9.20e-3  0.015     0.0439   0.0384    0.142    0.308    0.352 GLD    67.9  0.00240  -0.0072
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart